How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.1224	1.11
β GARCH Volatility persistence	0.8616	191.26***
γ leverage Additional response to negative shocks	-0.1224	-0.62
λ₁ tau intercept Baseline long-term coefficient	5.9474	1.86*
λ₂ forecast adj. Forecast performance sensitivity	0.5278	2.36**
λ₃ tau persistence Long-term factor persistence	0.4722	1.89*

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Encourage Technologies Co ILLIQ-MFMEM Liquidity Analysis

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News Impact Curve

Illiquidity Forecast

Parameter Estimates

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